Package: LocalCop 0.0.2
LocalCop: Local Likelihood Inference for Conditional Copula Models
Implements a local likelihood estimator for the dependence parameter in bivariate conditional copula models. Copula family and local likelihood bandwidth parameters are selected by leave-one-out cross-validation. The models are implemented in 'TMB', meaning that the local score function is efficiently calculated via automated differentiation (AD), such that quasi-Newton algorithms may be used for parameter estimation.
Authors:
LocalCop_0.0.2.tar.gz
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LocalCop_0.0.2.tar.gz(r-4.5-noble)LocalCop_0.0.2.tar.gz(r-4.4-noble)
LocalCop.pdf |LocalCop.html✨
LocalCop/json (API)
NEWS
| # Install 'LocalCop' in R: |
| install.packages('LocalCop', repos = c('https://mlysy.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/mlysy/localcop/issues
Pkgdown site:https://mlysy.github.io
Last updated 6 months agofrom:2d815a13ea. Checks:11 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Feb 23 2025 |
| R-4.5-win-x86_64 | OK | Feb 23 2025 |
| R-4.5-mac-x86_64 | OK | Feb 23 2025 |
| R-4.5-mac-aarch64 | OK | Feb 23 2025 |
| R-4.5-linux-x86_64 | OK | Feb 23 2025 |
| R-4.4-win-x86_64 | OK | Feb 23 2025 |
| R-4.4-mac-x86_64 | OK | Feb 23 2025 |
| R-4.4-mac-aarch64 | OK | Feb 23 2025 |
| R-4.3-win-x86_64 | OK | Feb 23 2025 |
| R-4.3-mac-x86_64 | OK | Feb 23 2025 |
| R-4.3-mac-aarch64 | OK | Feb 23 2025 |
Exports:BiCopEta2ParBiCopEta2TauBiCopPar2EtaBiCopTau2EtaCondiCopLikCVCondiCopLocFitCondiCopLocFunCondiCopSelectKernBetaKernBiQuadKernEpaKernGausKernTriAngKernWeight
Dependencies:ADGofTestlatticeMASSMatrixmvtnormRcppRcppEigenTMBVineCopula
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Local likelihood inference for conditional copula models. | LocalCop-package LocalCop |
| Cross-validated likelihood. | CondiCopLikCV |
| Local likelihood estimation. | CondiCopLocFit |
| Create a 'TMB' local likelihood function. | CondiCopLocFun |
| Local likelihood bandwidth and/or family selection. | CondiCopSelect |
| Conversions between various bivariate copula parametrizations. | BiCopEta2Par BiCopEta2Tau BiCopPar2Eta BiCopTau2Eta ConvertPar |
| Local likelihood kernel functions. | KernBeta KernBiQuad KernEpa KernFun KernGaus KernTriAng |
| Calculate local likelihood kernel weights. | KernWeight |
